Yue Kuen Kwok

Publication Activity (10 Years)

Years Active: 1995-2024
Publications (10 Years): 4

Top Topics

Computationally Intensive

Hilbert Transform

Stereo Matching

Hierarchical Model

Top Venues

Oper. Res. Lett.

SIAM J. Financial Math.

SIAM J. Sci. Comput.

Eur. J. Oper. Res.

Publications

Jaehyuk Choi, Yue Kuen Kwok
Simulation schemes for the Heston model with Poisson conditioning. Eur. J. Oper. Res. 314 (1) (2024)
Weinan Zhang, Pingping Zeng, Gongqiu Zhang, Yue Kuen Kwok
Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. J. Sci. Comput. 98 (2) (2024)
Weinan Zhang, Pingping Zeng, Yue Kuen Kwok
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. Oper. Res. Lett. 51 (6) (2023)
Yao Tung Huang, Pingping Zeng, Yue Kuen Kwok
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals. SIAM J. Financial Math. 8 (1) (2017)
Pingping Zeng, Yue Kuen Kwok
Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach. SIAM J. Sci. Comput. 36 (3) (2014)
Chi Man Leung, Yue Kuen Kwok
Patent-investment games under asymmetric information. Eur. J. Oper. Res. 223 (2) (2012)
Jean J. Kong, Yue Kuen Kwok
Real options in strategic investment games between two asymmetric firms. Eur. J. Oper. Res. 181 (2) (2007)
Min Dai, Yue Kuen Kwok
American Options with Lookback Payoff. SIAM J. Appl. Math. 66 (1) (2005)
Ka Wo Lau, Yue Kuen Kwok
Optimal calling policies in convertible bonds. CIFEr (2003)
Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau
Pricing Algorithms of Multivariate Path Dependent Options. J. Complex. 17 (4) (2001)
Yue Kuen Kwok
Fourier analysis of iterative schemes for solving the biharmonic equation. Int. J. Comput. Math. 58 (1-2) (1995)